Dynamic connectedness and spillovers between Islamic and conventional stock markets: time- and frequency-domain approach in COVID-19 era

• DOI: 10.1016/j.heliyon.2022.e09215
• Publication Date: 2022-04-01T01:47:26Z
• Authors: Ahmed Bossman; Peterson Owusu Ju...; Aviral Kumar Tiwari
• Keywords: Social Connectedness; Spillover effect; Stock (firearms)

This study investigates the dynamic connectedness and spillovers between Islamic conventional stock markets to reveal time- frequency-domain dynamics of two asset classes under various market conditions. Using spillover index Baruník Křehlík (2018), supplemented by time-varying parameter vector autoregressions (TVP-VAR) model, we employ daily indices for (G7) from November 23, 2015, September 8, 2021. The findings explicate that volatility across within and/or G7 are frequency-dependent but during turbulences, stocks prone more volatilities than stocks. Our additionally divulge contagious among Brexit studied COVID-19 period. Relative mid-and long-term spillovers, underscore supremacy short-term markets. In turbulent trading periods, investors should utilise knowledge about patterns hedge their positions against lower returns, when is intense. Regulators pay close attention since they undermine cross-market connections. Intriguing implications further discussed.